361 KB55 KB200820252015Cergol, BorisOmladič, Matjažštevilka:2letnik:9str. 301-320COBISSID:17368921ISSN:1855-3966URN:URN:NBN:SI:doc-IG3NXVDKenUniverza na Primorskem, Fakulteta za matematiko, naravoslovje in informacijske tehnologijeArs mathematica contemporaneadonosi delnicinternet search dataiskanje podatkov na spletumarket regimesrežimi trgastock returnstrading strategiestrgovalna strategijaWhat can Wikipedia and Google tell us about stock prices under diferent market regimes?|In less than five years a surprisingly high level of attention has built up in the possible connection between internet search data and stock prices. It is the main aim of this paper to point out how this connection may depend heavily on different regimes of the market, i.e. the bear market vs. the bull market. We consider three types of internet search data (relative Google search frequencies of company tickers, relative Google search frequencies of company names and page visits of Wikipedia articles about individual companies) and a substantial sample of companies which are members of the S&P 500 index. We discover two inverse patterns in stock prices: in the bear market what we propose to term a "merry frown" and in bull market a "sour smile", both clearly seen especially for the Wikipedia data. We propose market neutral strategies that exploit these new patterns and yield up to 17% in average annual return during our sample period from 2008 to 2013V zadnjih petih letih je bilo posvečeno presenetljivo veliko pozornosti možni povezavi med iskanjem podatkov na spletu in cenami delnic. Glavni cilj članka je pokazati, da je ta povezava lahko zelo odvisna od različnih režimov trga, to je ali je trg medvedji ali bikovski. Obravnavamo tri vrste iskanja podatkov na spletu (relativno frekvenco iskanja v Googlu kratice delnice podjetja, relativno frekvenco iskanja v Googlu imena podjetja ter obiskov člankov na Wikipedija o posameznih podjetjih) in precej velik vzorec podjetij, ki so zajeta v S & P 500 indeksu. Odkrili smo dva vzorca v ceni delnic: v medvedjem trgu opazimo tako imenovano "veselo mrščenje", v bikovskem trgu pa "kisel nasmeh". Oba vzorca sta posebno opazna zlasti za iskanje podatkov na Wikipediji. Predlagamo trgovalno strategijo, ki izkorišča te nove vzorce in prinaša do 17% povprečni letni donos na vzorčne delnice v obdobju od 2008 do 2013TEXTznanstveno časopisjejournalsSlovenian National E-content AggregatorNational and University Library of SloveniaUniverza na Primorskem, Fakulteta za naravoslovje, matematiko in informacijske tehnologije